NautilusTrader 1.200.0 Beta

Released on 7th September 2024 (UTC).

Enhancements

• Added dYdX integration (#1861, #1868, #1873, #1874, #1875, #1877, #1879, #1880, #1882, #1886, #1887, #1890, #1891, #1896, #1901, #1903, #1907, #1910, #1911, #1913, #1915), thanks @davidsblom
• Added composite bar types, bars aggregated from other bar types (#1859, #1885, #1888, #1894, #1905), thanks @faysou
• Added OrderBookDeltas.batch for batching groups of deltas based on record flags (batch until F_LAST)
• Added OrderBookDeltas batching support for ParquetDataCatalog (use data_cls of OrderBookDeltas to batch with the same flags method as live adapters)
• Added RetryManagerPool to abstract common retry functionality for all adapters
• Added InstrumentClose functionality for OrderMatchingEngine, thanks @limx0
• Added BacktestRunConfig.dispose_on_completion config setting to control post-run disposal behavior for each internal backtest engine (True by default to retain current behavior)
• Added recv_window_ms config setting for BinanceExecClientConfig
• Added sl_time_in_force and tp_time_in_force parameters to OrderFactory.bracket(...) method
• Added custom client_order_id parameters to OrderFactory methods
• Added support for Binance RSA and Ed25519 API key types (#1908), thanks @NextThread
• Added multiplier parameter for CryptoPerpetual (default 1)
• Implemented BybitExecutionClient retry logic for submit_order, modify_order, cancel_order and cancel_all_orders
• Improved error modeling and handling in Rust (#1866), thanks @twitu
• Improved HttpClient error handling and added HttpClientError exception for Python (#1872), thanks @twitu
• Improved WebSocketClient error handling and added WebSocketClientError exception for Python (#1876), thanks @twitu
• Improved WebSocketClient.send_text efficiency (now accepts UTF-8 encoded bytes, rather than a Python string)
• Improved @customdataclass decorator with date field and refined __repr__ (#1900, #1906, #1909), thanks @faysou
• Improved standardization of OrderBookDeltas parsing and records flags for crypto venues
• Refactored RedisMessageBusDatabase to tokio tasks
• Refactored RedisCacheDatabase to tokio tasks
• Upgraded tokio crate to v1.40.0

Breaking Changes

• Renamed heartbeat_interval to heartbeat_interval_secs (more explicitly indicates time units)
• Moved heartbeat_interval_secs config setting to MessageBusConfig (the message bus handles external stream processing)
• Changed WebSocketClient.send_text(...) to take data as bytes rather than str
• Changed CryptoPerpetual Arrow schema to include multiplier field
• Changed CryptoFuture Arrow schema to include multiplier field

Fixes

• Fixed OrderBook memory deallocation in Python finalizer (memory was not being freed on object destruction), thanks for reporting @zeyuhuan
• Fixed Order tags serialization (was not concatenating to a single string), thanks for reporting @DevRoss
• Fixed types_filter serialization in MessageBusConfig during kernel setup
• Fixed InstrumentProvider handling of load_ids_on_start when elements are already InstrumentIds
• Fixed InstrumentProviderConfig hashing for filters field